CVA & Counterparty Risk Modelling:



Emerging from the credit crisis, many financial institutions recognised the need for better Counterparty Credit Risk (CCR) management and have began to centralise the quantification, pricing, and management of their CCR. This centralisation often takes the form of a “CVA Trading Desk” that provides the internal service of quantifying CCR for individual business lines and using the price measure of CVA (Credit Valuation Adjustment) to actively manage this risk across an entire institution.Credit value adjustment (CVA) is by definition the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counterparty's default. In other words, CVA is the market value of counterparty credit risk